The effects of COVID-19 on Chinese stock markets:an EGARCH approach

作     者：Kerry Liu 

作者机构：China Studies CentreUniversity of SydneySydneyAustralia 

出 版 物：《Economic and Political Studies》 (经济与政治研究（英文版）)

年 卷 期：2021年第9卷第2期

页      面：148-165页

学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学] 

主　　题：Coronavirus COVID-19 EGARCH volatility Chinese stock markets pandemic 

摘      要：Coronavirus disease 2019(COVID-19),the disease caused by the novel coronavirus SARS-CoV-2,has greatly affected financial markets,economies and societies *** study focusses on the Chinese stock *** on Google Trends data during the period from 1 January 2020 to 12 April 2020,and using the exponential generalised autoregressive conditional heteroskedastic(EGARCH)model,this study finds that the higher uncertainty resulting from the COVID-19 pandemic is significantly associated with the drop in China’s composite index,but this impact varies by ***,the higher uncertainty due to COVID-19 is significantly associated with greater volatility in stock returns for both the composite index and sector indices.